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Introductory course on financial mathematics

Introductory course on financial mathematics

 Tretyakov, Michael V.
 Imperial College Press, ©2013 ISBN: 9781908977380
 London : x, 266 p : ill. ; 24 cm. English
Derivative instruments (Finances)Financial mathematicsBusiness mathematicsKinh doanhToán họcTài chính
Mô tả biểu ghi
ID:70941
DDC 332.0151
Tác giả CN Tretyakov, Michael V.
Nhan đề Introductory course on financial mathematics / Michael V. Tretyakov.
Thông tin xuất bản London :Imperial College Press,©2013
Mô tả vật lý x, 266 p :ill. ;24 cm.
Tóm tắt This book is an elementary introduction to the basic concepts of financial mathematics with a central focus on discrete models and an aim to demonstrate simple but widely used financial derivatives for managing market risks. Only a basic knowledge of probability, real analysis, ordinary differential equations, linear algebra and some common sense are required to utilise this book. Financial mathematics is an application of advanced mathematical and statistical methods to financial management and markets, with a main objective to quantify and hedge risks. Since the book aims to present the basics of financial mathematics to the reader, only essential elements of probability and stochastic analysis are given to explain ideas on derivative pricing and hedging. To keep the reader intrigued and motivated, the book has a "sandwich" structure: Probability and stochastics are given on the spot, at places where mathematics can almost immediately be illustrated by an application to finance. The first part of the book introduces one of the main principles in finance - no arbitrage pricing. It also introduces main financial instruments such as forward and futures contracts, bonds and swaps, and options. This part is not mathematical. The second part deals with pricing and hedging of European- and American-type options in the discrete time setting. In addition, the concept of complete and incomplete markets is discussed. Elementary probability is briefly revised and discrete-time - discrete-space stochastic processes used in financial modelling are considered. The third part discusses stochastic analysis and introduces the Wiener process, Ito integrals, and stochastic differential equations. The main feature of this final part of the book is the famous Black - Scholes formula for pricing European options. Some guidance for further study of this exciting and rapidly changing subject is given in the last chapter. The book has approximately 100 exercises, for which most solutions have been provided.-- Provided by Publisher
Thuật ngữ chủ đề Derivative instruments (Finances)
Thuật ngữ chủ đề Financial mathematics
Thuật ngữ chủ đề Business mathematics
Từ khóa tự do Kinh doanh
Từ khóa tự do Toán học
Từ khóa tự do Tài chính
Địa chỉ 100TK_Tiếng Anh-AN(5): 000142895-9
Tệp tin điện tử http://lib.hanu.vn/kiposdata2/bookcover/000142895_thumbimage.jpg
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260[ ] |a London : |b Imperial College Press, |c ©2013
300[ ] |a x, 266 p : |b ill. ; |c 24 cm.
520[ ] |a This book is an elementary introduction to the basic concepts of financial mathematics with a central focus on discrete models and an aim to demonstrate simple but widely used financial derivatives for managing market risks. Only a basic knowledge of probability, real analysis, ordinary differential equations, linear algebra and some common sense are required to utilise this book. Financial mathematics is an application of advanced mathematical and statistical methods to financial management and markets, with a main objective to quantify and hedge risks. Since the book aims to present the basics of financial mathematics to the reader, only essential elements of probability and stochastic analysis are given to explain ideas on derivative pricing and hedging. To keep the reader intrigued and motivated, the book has a "sandwich" structure: Probability and stochastics are given on the spot, at places where mathematics can almost immediately be illustrated by an application to finance. The first part of the book introduces one of the main principles in finance - no arbitrage pricing. It also introduces main financial instruments such as forward and futures contracts, bonds and swaps, and options. This part is not mathematical. The second part deals with pricing and hedging of European- and American-type options in the discrete time setting. In addition, the concept of complete and incomplete markets is discussed. Elementary probability is briefly revised and discrete-time - discrete-space stochastic processes used in financial modelling are considered. The third part discusses stochastic analysis and introduces the Wiener process, Ito integrals, and stochastic differential equations. The main feature of this final part of the book is the famous Black - Scholes formula for pricing European options. Some guidance for further study of this exciting and rapidly changing subject is given in the last chapter. The book has approximately 100 exercises, for which most solutions have been provided.-- Provided by Publisher
650[0 0] |a Derivative instruments (Finances)
650[0 0] |a Financial mathematics
650[0 0] |a Business mathematics
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653[0 ] |a Tài chính
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